There are lots of reasons mentioned in below article by which your query will not work & will not fetch the data from SharePoint List columns.
One of the example given in below article is
Well if you know SharePoint lists, you know you can change field
display names, and many other things in List Settings. In the screen
shot above, the “Affiliation” columns are columns which are lookups to
the Accounts list. I renamed the column name in the Customers list to
be “Affiliate”. This is an important point to remember. The “entity”
you are referencing here is the “Affiliation” entity, not the
“Accounts” entity. If I call the Account Lookup field “Affiliate” and
link by Id, then project the Name and AccountId columns I have to use
the following to get the AffiliationId back.
Kindly check below article for OData $expand Query Option.
Using the $expand OData Query Option in SharePoint 2013
Alternate option to get SharePoint list data to excel
You can use Power Query to fetch SharePoint Online List data to Excel.
With this tool, a lot of different sources can be extracted into Excel with just a few clicks. This tip will show you how you can read a SharePoint list with Power Query and how you can extract its contents into Excel.
Kindly check below article for further details.
Extracting a SharePoint List with Power Query
How to Use Power Query for Excel to Query a SharePoint 2013 List